SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Some Applications of Fractional Brownian Motion to Linear Systems
9 references·0 citing·22 second hop
Some Applications of Fractional Brownian Motion to Linear Systems (2000)Some Applications of Fractional Brownian …Stochastic Differential Equations: Theory and Applications (2007)Stochastic Differential Equat…Stochastic calculus for fractional Brownian motion. I. Theory (2002)Stochastic calculus for fract…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Analysis of the Fr…The variation of certain speculative prices (1997)The variation of certain spec…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…On the prediction of fractional Brownian motion (1996)On the prediction of fraction…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)A storage model with self-similar input (1994)Itô′s formula with respect to fractional Brownian motion and its application (1996)Fractional Lévy processes with an application to long memory moving average processes (2006)Out of sample forecasts of quadratic variation (2008)The Random Character of Stock Market Prices (1968)Integration questions related to fractional Brownian motion (2000)Stochastic Calculus with Respect to Gaussian Processes (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Chapter 46 Unit roots, structural breaks and trends (1994)Continuous Time Structural Equation Modeling with R Package ctsem (2017)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1999Stochastic Analysis of the Fractional Brownian Motion744 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 2007Stochastic Differential Equations: Theory and Applications588 cited
  • 2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
  • 1996On the prediction of fractional Brownian motion205 cited
  • 2002Stochastic calculus for fractional Brownian motion. I. Theory25 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work